Price Integration Analysis of Crude Oil and Vegetable Oils

Habitat Pub Date : 2021-08-01 DOI:10.21776/ub.habitat.2021.032.2.10

R. Destiarni, A. Jamil

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引用次数: 2

Abstract

The importance of palm oil as Indonesia's main export commodity from the non-oil and gas sector makes a study about the price integration of crude oil and vegetable oils is conducted. The time-series data is used are monthly data from 2002:2 to 2019:4. Using the Vector Correction Model (VECM), this study aimed to analyze the price integration among Log of Crude Oil Price (LCOP), Palm Oil Price (LPOP), Soybean Oil Price (LSOP), Sun Flower Oil Price (LSFOP) and Rapeseed Oil Price (LROP). Augmented-Dickey Fuller (ADF) stationary test results show that the time series for those data are stationary at first difference. Using the Pearson Correlation test among price data indicates that there is a high positive correlation among those price data. It reveals a high degree of short-run integration among oil price data. Based on the Johansen cointegration test, the result reveals the presence of long-run relationships among determinants. Knowing presence of cointegration among the data, a bivariate cointegration test was conducted in this study. The test showed that LCOP did not have long-run relationship with vegetable oil prices. The Engel Granger Causality test revealed that generally, LPOP have influence on the movement both LCOP and other vegetable oil prices.

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原油与植物油价格一体化分析

鉴于棕榈油作为印尼非石油和天然气部门的主要出口商品的重要性，对原油和植物油的价格整合进行了研究。时间序列数据为2002:2至2019:4的月度数据。利用向量修正模型（VECM），分析了对数原油价格（LCOP）、棕榈油价格（LPOP）、大豆油价格（LSOP）、向日葵油价格（LSFOP）和菜籽油价格（LROP）之间的价格整合。增广Dickey-Fuller（ADF）平稳测试结果表明，这些数据的时间序列在第一差处是平稳的。在价格数据之间使用Pearson相关检验表明，这些价格数据之间存在高度的正相关性。它揭示了石油价格数据之间的高度短期整合。基于Johansen协整检验，结果揭示了决定因素之间存在长期关系。在已知数据之间存在协整的情况下，本研究进行了双变量协整检验。试验表明，LCOP与植物油价格没有长期关系。Engel-Granger因果关系检验表明，一般来说，LPOP对LCOP和其他植物油价格的波动都有影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Habitat

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审稿时长

24 weeks